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|
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3
|
Sun, 8/1/10, 2:00 PM - 3:50 PM
|
CC-13 (East)
|
Topics in Nonstandard Asymptotics - Invited - Papers
|
General Methodology, Business and Economic Statistics Section, IMS
|
Organizer(s): Moulinath Banerjee, University of Michigan
|
Chair(s): Michael Kosorok, The University of North Carolina at Chapel Hill
|
2:05 PM
|
Limit Theory for Multivariate Shape Constraints: Partial Results, Open Problems, and Conjectures — Jon A. Wellner, University of Washington
|
2:35 PM
|
Adaptive Confidence Intervals for Regression Coefficients in Q-Learning — Eric B. Laber, University of Michigan; Min Qian, University of Michigan; Susan Murphy, University of Michigan
|
3:05 PM
|
Inference for Change-Point Parameters Under Varying Degrees of Model Misspecification — Moulinath Banerjee, University of Michigan; Michael Kosorok, The University of North Carolina at Chapel Hill; Rui Song, Colorado State University
|
3:35 PM
|
Floor Discussion
|
|
|
|
|
21
|
Sun, 8/1/10, 2:00 PM - 3:50 PM
|
CC-14 (East)
|
Statistical Issues in Business Analytics - Topic Contributed - Papers
|
Business and Economic Statistics Section
|
Organizer(s): Yasuo Amemiya, IBM T.J. Watson Research Center
|
Chair(s): David A. Dickey, North Carolina State University
|
2:05 PM
|
Creating a Systematic Monitoring Process for Consumer Lending — Keith Schleicher, Capital One; Rose Brunner, Capital One; Lu Su, Capital One; Leonard Roseman, Capital One
|
2:25 PM
|
Analytics in Manufacturing: A Case Study from Aluminum Recycling — J. Michael Hardin, The University of Alabama; Michael D. Conerly, The University of Alabama
|
2:45 PM
|
Efficient Designs for a Noncompensatory Choice Model — Qing Liu, University of Wisconsin-Madison
|
3:05 PM
|
Large-Scale Forecasting of Hierarchically Structured Data — Jonathan R.M. Hosking, IBM T.J. Watson Research Center
|
3:25 PM
|
Social Network Analysis for Fraud Detection — John Clare Brocklebank, SAS Institute
|
3:45 PM
|
Floor Discussion
|
|
|
|
|
31
|
Sun, 8/1/10, 2:00 PM - 3:50 PM
|
CC-15 (East)
|
Long Memory - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Ignacio Lobato, ITAM
|
2:05 PM
|
Asymptotics of Self-Normalized Linear Processes with Long Memory — Hailin Sang, National Institute of Statistical Sciences; Magda Peligrad, University of Cincinnati
|
2:20 PM
|
A Vector Autoregressive Approximation for an Infinite-Order Autoregressive Long Memory Process — Chafik Bouhaddioui, United Arab Emirates University
|
2:35 PM
|
Asymptotic Theory for Fractionally Integrated Asymmetric Power ARCH Models — Kazuhiko Shinki, Wayne State University; Henry Zhengjun Zhang, University of Wisconsin-Madison
|
2:50 PM
|
Predicting Long-Horizon Returns Using Historical Volatility: Statistical Significance and Modeling — Natalia Sizova, Rice University
|
3:05 PM
|
Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends — Adam McCloskey, Boston University; Pierre Perron, Boston University
|
3:20 PM
|
Penalized Order Selection Procedure for AR Process — Xiaodong Lin, Rutgers University
|
3:35 PM
|
Floor Discussion
|
|
|
|
|
74
|
Sun, 8/1/10, 4:00 PM - 5:50 PM
|
CC-9 (East)
|
Finance - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Tatsuyoshi Okimoto, Hitotsubashi University
|
4:05 PM
|
The Time of Ruin and Surplus Before Ruin with Mixture Distribution — Min Deng, Maryville University
|
4:20 PM
|
Residential Property Valuation Using Quantile Regression — John F. Wellington, Indiana University Purdue University Fort Wayne; Stephen A. Lewis, Mongrel Works, Inc.
|
4:35 PM
|
Modeling the Dynamics of Corporate Credit Ratings: Estimating Ratings Transitions — Terri Anna Johnson, North Carolina State University; Meghan Rachel Kent, North Carolina State University
|
4:50 PM
|
Multi-logit MAR models for High Frequency Financial Data — Musen Wen, University of California, Riverside; Keh-Shin Lii, University of California, Riverside
|
5:05 PM
|
Bayesian Analysis of Bivariate Mixture Transition Distribution Models — Huiming Song, University of California, Riverside
|
5:20 PM
|
Stochastic Hybrid System — Daniel Siu, University of South Florida
|
5:35 PM
|
On Another Form of Price Asymmetry: Detection at a Popular Restaurant Chain — Leo T. Upchurch, Tuskegee University; Chia L. Chen, Tuskegee University
|
|
|
|
|
124
|
Mon, 8/2/10, 8:30 AM - 10:20 AM
|
CC-221 (West)
|
Topics in Seasonality - Topic Contributed - Papers
|
Business and Economic Statistics Section
|
Organizer(s): Tucker Sprague McElroy, U.S. Census Bureau
|
Chair(s): Peter Brian Kenny, PBK Research
|
8:35 AM
|
A Graphical Interface for Weekly Seasonal Adjustment — David E. Byun, Bureau of Labor Statistics; Thomas D. Evans, Bureau of Labor Statistics
|
8:55 AM
|
An Evaluation of Kan and Wang's Adjusted Box-Pierce Test Using Seasonal Time Series — Brian Carl Monsell, U.S. Census Bureau
|
9:15 AM
|
On the Seasonal Adjustment of Long Memory Time Series — Scott Holan, University of Missouri; Tucker Sprague McElroy, U.S. Census Bureau
|
9:35 AM
|
Investigating Spectral Analysis in the X-12-ARIMA Seasonal Adjustment Program: Theory and Practice — Wilma S. Jackson, SAS Institute
|
9:55 AM
|
The Flow Estimates of Australia Labour Force Hours Worked and Seasonal Adjustment — Xichuan Mark Zhang, Australian Bureau of Statistics; Noel Hansen, Australian Bureau of Statistics
|
10:15 AM
|
Floor Discussion
|
|
|
|
|
167
|
Mon, 8/2/10, 10:30 AM - 12:20 PM
|
CC-221 (West)
|
Program Assessment and Accreditation, with Particular Reference to Business Schools - Topic Contributed - Panel
|
Business and Economic Statistics Section
|
Organizer(s): J. Keith Ord, Georgetown University
|
Chair(s): Hyokyoung (Grace) Hong, Baruch College, CUNY
|
Abstract:
|
Program Assessment and Accreditation, with Particular Reference to Business Schools
|
Panelists:
|
J. Keith Ord, Georgetown University
Robert Carver, Stonehill College
Amy Phelps, Duquesne University
|
12:05 PM
|
Floor Discussion
|
|
|
|
|
173
|
Mon, 8/2/10, 10:30 AM - 12:20 PM
|
CC-208 (West)
|
Model Selection - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Gray Calhoun, Iowa State University
|
10:35 AM
|
Empirical Model Selection: Friedman and Schwartz Revisited — Neil R. Ericsson, Federal Reserve Board
|
10:50 AM
|
Automatic Diagnostic Checking for Vector Autoregressions — Ignacio Lobato, ITAM; Juan Carlos Escanciano, Indiana University; Lin Zhu, Indiana University
|
11:05 AM
|
Doubly Constrained Factor Models: Estimation and Applications — Henghsiu Tsai, Academia Sinica; Ruey S. Tsay, The University of Chicago
|
11:20 AM
|
More on Arc Length Tests for Equivalent Autocovariances — Oscar Ferebee Tunno, Arkansas State University; Colin Gallagher, Clemson University ; Robert Lund, Clemson University
|
11:35 AM
|
Mixed Proportional Hazard Models with Continuous Finite Mixture Unobserved Heterogeneity — Marcel Cristian Voia, Carleton University; Kim P. Huynh, Indiana University
|
11:50 AM
|
A Large Sample Procedure for Selecting a Subset Containing the Best of Several Multinomial Populations — Saad T. Bakir, Alabama State University
|
12:05 PM
|
Interaction Detection for Business Forecasting — Dan Steinberg, Salford Systems
|
|
|
|
|
174
|
Mon, 8/2/10, 10:30 AM - 12:20 PM
|
CC-302/303 (West)
|
Finance-Empirical - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Hedibert Freitas Lopes, The University of Chicago Booth School of Business
|
10:35 AM
|
Modeling Bond-Trading Behavior Using a Zero-Inflated Multivariate Poisson — Bonnie Kathryn Ray, IBM T.J. Watson Research Center; Sarah Thomas, Rice University; Katherine Bennett Ensor, Rice University
|
10:50 AM
|
Dependence Evolution in International Equity Markets — Tatsuyoshi Okimoto, Hitotsubashi University
|
11:05 AM
|
A New Estimation Method of GO-GARCH Models — Lingyu Zheng, Temple University; William Wei, Temple University
|
11:20 AM
|
Dynamic Correlation Structures in Factor Multivariate Stochastic Volatility Models — Yu-Cheng Ku, North Carolina State University; Peter Bloomfield, North Carolina State University
|
11:35 AM
|
Determination of Cointegration Rank in High-Dimensional Systems: Evidence from the World's Major Stock Markets — Alireza Tahai, Mississippi State University
|
11:50 AM
|
First Significant Digit Distributions in the Credit Crisis — Paul Hofmarcher, WU Wien; Florian Löcker, Institute for Statistics and Mathematics
|
12:05 PM
|
Credit Rating Dynamics in the Presence of Structural Breaks — Haipeng Xing, State University of New York at Stony Brook; Ning Sun, State University of New York at Stony Brook; Ying Chen, MEAG New York
|
|
|
|
|
189
|
Mon, 8/2/10, 10:30 AM - 12:20 PM
|
CC-Exhibit Hall A (West)
|
Invited Poster Oral Presentations - Invited - Poster Presentations
|
Biometrics Section, Business and Economic Statistics Section, ENAR, IMS, Section on Bayesian Statistical Science, Section on Nonparametric Statistics, Section on Physical and Engineering Sciences, Section on Statistical Learning and Data Mining, Section on Statistics in Epidemiology, Section on Survey Research Methods, WNAR
|
Chair(s): Peiyong (Annie) Qu, University of Illinois at Urbana-Champaign
|
01:
|
Joint Modeling of Epigenetic Data, Transcription Factor Binding Data, and Expression Data — Guanghua Xiao, UT Southwestern Medical Center
|
02:
|
Incorporating Chromosomal Spatial Correlation Through 3D Structures Into Microarray Data Analysis — Xinlei Wang, Southern Methodist University; Guanghua Xiao, UT Southwestern Medical Center; Arkady Khodursky, University of Minnesota
|
03:
|
Cancer Marker Identification via Penalized Integrative Analysis — Shuangge Ma, Yale University
|
04:
|
Bayesian, Frequentist, or Both? Model-Robust Regression and the 'Sandwich' Estimator — Adam A. Szpiro, University of Washington; Kenneth Rice, University of Washington; Thomas Lumley, University of Washington
|
05:
|
Analyzing Methods of Imputation — Scott Daniel Crawford, Texas A&M University
|
06:
|
WITHDRAWN: Município-Level Estimates of Child Mortality for Brazil: A New Approach Using Bayesian Statistics — Sarah McKinnon, Population Research Center; Joseph E. Potter, Population Research Center
|
07:
|
Parallel Statistical Computing: Are We Embracing the Scalable Concurrency Revolution? — George Ostrouchov, Oak Ridge National Laboratory
|
08:
|
Generic Framework for Parallel Statistical Computing — Hana Sevcikova, University of Washington
|
09:
|
Sequential Application of a Third-Order Test Design in Six Dimensions Incorporating an Orthogonality Constraint — William Line, DOES Institute; Mike Morton, DOES Institute; Norman Draper, University of Wisconsin-Madison
|
10:
|
Parallel Implementation of Response Surface Regression on R — Hao Yu, The University of Western Ontario
|
11:
|
Mode-Based Clustering with Applications to Information Visualization — Jia Li, Penn State; Xiaolong Zhang, Penn State
|
12:
|
A Comparative Study of Variable Screening Methods: Univariate vs. Multivariate Screening — Cong Liu, The Ohio State University; Tao Shi, The Ohio State University; Yoonkyung Lee, The Ohio State University
|
13:
|
Efficient Classification for Longitudinal Data — Xianlong Wang, Fred Hutchinson Cancer Research Center; Peiyong (Annie) Qu, University of Illinois at Urbana-Champaign
|
14:
|
Adaptive Confidence Intervals for the Test Error in Classification — Eric B. Laber, University of Michigan
|
15:
|
Energy Functions for Dimension Reduction and Graph Visualization — Lisha Chen, Yale University
|
16:
|
Grouping Pursuit and Feature Selection Over a Graph — Yunzhang Zhu, University of Minnesota; Xiaotong Shen, University of Minnesota
|
17:
|
Classfication Using Matrix Predictors with Application in Toxicant Identification — Wenxuan Zhong, University of Illinois
|
18:
|
ROC Regression Using Percentile Values for Event Time Outcomes — Yuying Jin, University of Washington; Margaret Sullivan Pepe, Fred Hutchinson Cancer Research Center; Yingye Zheng, Fred Hutchinson Cancer Research Center
|
19:
|
Hill's Matrix Augments the Barell Matrix for Identifying Knee Injuries in Active Duty U.S. Army — Craig James McKinnon, United States Army Research Institute of Environmental Medicine; Owen Hill, United States Army Research Institute of Environmental Medicine; Ashley Kay, United States Army Research Institute of Environmental Medicine; Monika Wahi, United States Army Research Institute of Environmental Medicine
|
20:
|
Estimating Network Structure Using Latent Space Models for Aggregated Relational Data — Tyler McCormick, Columbia University; Tian Zheng, Columbia University
|
21:
|
Development of Imaging Biomarkers for Clinical Trials: Applications in Glioblastoma Multiforme — Hyun (Grace) Kim, University of California, Los Angeles; Jing Huo, University of California, Los Angeles; Matt Brown, University of California, Los Angeles; Jonathan Goldin, University of California, Los Angeles
|
22:
|
Development of Imaging Biomarkers for Clinical Trials: Applications in Rheumatoid Arthritis — Grace S. Park, Amgen Inc.
|
23:
|
WITHDRAWN: Improving Clinical Utility of Physiologic MRI — John Kornak, University of California, San Francisco; Karl Young, University of California, San Francisco; Ying Lu, Stanford University; Norbert Schuff, University of California, San Francisco; Jeff Kasten, University of California, San Francisco; Mike Weiner, University of California, San Francisco
|
|
|
|
|
214
|
Mon, 8/2/10, 2:00 PM - 3:50 PM
|
CC-212 (West)
|
Bayesian Methods in Time-Series Econometrics - Invited - Papers
|
Business and Economic Statistics Section, Section on Bayesian Statistical Science
|
Organizer(s): Scott Holan, University of Missouri
|
Chair(s): Scott Holan, University of Missouri
|
2:05 PM
|
Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices — Jonathan Stroud, The George Washington University; Michael Johannes, Columbia University; Nicholas Polson, The University of Chicago
|
2:30 PM
|
Dynamic Stock Selection Strategies: A Structured Factor Model Framework — Hedibert Freitas Lopes, The University of Chicago Booth School of Business; Carlos Marinho Carvalho, The University of Chicago Booth School of Business; Omar Aguilar, Financial Engines
|
2:55 PM
|
Complete and Incomplete Bayesian Models for Financial Time Series — John Geweke, University of Technology, Sydney
|
3:20 PM
|
Estimation of the Term Structure from a DSGE Model — Siddhartha Chib, Washington University in St. Louis
|
3:45 PM
|
Floor Discussion
|
|
|
|
|
240
|
Mon, 8/2/10, 2:00 PM - 3:50 PM
|
CC-210 (West)
|
Trends, Seasonality, and Time Series - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Andrew F. Siegel, University of Washington
|
2:05 PM
|
Using X-12-ARIMA to Seasonally Adjust Business Employment Dynamics Data — Eric Simants, Bureau of Labor Statistics; David Talan, Bureau of Labor Statistics
|
2:20 PM
|
The Hodrick-Prescott Filter: A Special Case of Penalized Spline Smoothing — A. Alexandre Trindade, Texas Tech University; Robert Paige, Missouri University of Science and Technology
|
2:35 PM
|
Extracting U.S. Credit Cycle Using Dynamic Linear Model — Jie Chen, Bank of America; Agus Sudjianto, Bank of America
|
2:50 PM
|
Estimation in ARCH Models with Missing Data: Applications to Latin-American Capital Markets — Natalia Bahamonde, Pontificia Universidad Católica de Valparaiso
|
3:05 PM
|
Efficient Modeling of the Noise Term in Additive Nonparametric Transfer Function Models — Jun Liu, Georgia Southern University
|
3:20 PM
|
GMM and OLS Estimation and Inference for New Keynesian Phillips Curve — Hrishikesh (Rick) D. Vinod, Fordham University
|
3:35 PM
|
Constructing Observation Weight Functions for Model-Based Signal Extraction with Regression Effects — Siem Jan Koopman, Vrije Universiteit Amsterdam; Marius Ooms, Vrije Universiteit Amsterdam
|
|
|
|
|
241
|
Mon, 8/2/10, 2:00 PM - 3:50 PM
|
CC-209 (West)
|
Macroeconomics - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Simon Van Norden, HEC Montreal
|
2:05 PM
|
Forecasting Long-Term Trends in Consumer Expenditures — David Swanson, Bureau of Labor Statistics
|
2:20 PM
|
Computation of the Stationary Wealth Distribution in a Heterogeneous Agent Based Economy with Employment Uncertainty — Muffasir Badshah, Florida State University; Anuj Srivastava, Florida State University; Paul Beaumont, Florida State University
|
2:35 PM
|
Managerial Practices, R&D Activities, and Internationalization Mode in Italian Firms: A Panel Approach — Matilde Bini, European University of Rome; Margherita Velucchi, Universitŕ di Firenze; Alessandro Zeli, ISTAT; Leopoldo Nascia, ISTAT
|
2:50 PM
|
GDP, Well-Being, and Quality of Life: A Comparison Between Objective and Subjective Measures in Italy — Tiziana Laureti, University of Naples Federico II; Luigi Biggeri, University of Florence
|
3:05 PM
|
Quantitative Methods Used for the Informal Economy Analysis for Countries in Transition — Tudorel Andrei, The Bucharest Academy of Economic Studies; Andreea Iluzia Iacob, The Bucharest Academy of Economic Studies; Bogdan Oancea, "Nicolae Titulescu" University, Bucharest; Marius Profiroiu, The Bucharest Academy of Economic Studies
|
3:20 PM
|
Estimating Armington Elasticity in a CGE Model Framework: A Generalized Maximum Entropy Approach — Guido Ferrari, University of Florence; Luca Secondi, University of Florence
|
3:35 PM
|
Sociosystemics and Its Statistical Aspects — Igor Mandel, Telmar Inc.
|
|
|
|
|
279
|
Tue, 8/3/10, 8:30 AM - 10:20 AM
|
CC-118 (West)
|
The U.S. Federal Statistical System 2.0: Future Directions - Invited - Panel
|
Section on Government Statistics, Business and Economic Statistics Section, Section on Survey Research Methods, Social Statistics Section
|
Organizer(s): Rochelle (Shelly) Wilkie Martinez, Office of Management and Budget
|
Chair(s): Katherine K. Wallman, Office of Management and Budget
|
Abstract:
|
The U.S. Federal Statistical System 2.0: Future Directions
|
Panelists:
|
Steve Landefeld, Bureau of Economic Analysis
Robert M. Groves, U.S. Census Bureau
Edward J. Sondik, National Center for Health Statistics
Hermann Habermann, United Nations Statistics Division
Connie Citro, The National Academies
|
10:15 AM
|
Floor Discussion
|
|
|
|
|
298
|
Tue, 8/3/10, 8:30 AM - 10:20 AM
|
CC-213 (West)
|
Forecasting and Model Comparison - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Ali Shojaie, University of Michigan
|
8:35 AM
|
Limit Theory for Comparing Overfit Models Out-of-Sample — Gray Calhoun, Iowa State University
|
8:50 AM
|
Autocontour-Based Evaluation of Out-of-Sample Density Forecasts — Emre Yoldas, Bentley University; Gloria Gonzalez-Rivera, University of California, Riverside
|
9:05 AM
|
Statistical Modeling and Inference with Uncertainty in Part of Historical Data — Jerry Shan, Hewlett-Packard
|
9:20 AM
|
Complexity and Model Selection in Macroeconomic Forecasting with DSGE Models — Daniel McDonald, Carnegie Mellon University
|
9:35 AM
|
Measuring Output Gap Uncertainty — Shaun Vahey, ANU; James Mitchell, NIESR; Anthony Garratt, Birkbeck College
|
9:50 AM
|
Robust Inference in Predictive Regressions — Paulo M.M. Rodrigues, Banco de Portugal; Antonio Rubia, University of Alicante
|
10:05 AM
|
Modeling the Dynamics of Corporate Credit Ratings: Creating a Predictive Ratings Model — Meghan Rachel Kent, North Carolina State University; Terri Anna Johnson, North Carolina State University; Nicole Bader, North Carolina State University; Jenna Rice, North Carolina State University
|
|
|
|
|
299
|
Tue, 8/3/10, 8:30 AM - 10:20 AM
|
CC-212 (West)
|
Inference for Structured Models - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Vadim Marmer, The University of British Columbia
|
8:35 AM
|
Neural Networks for Time Series Prediction: Practical Implications of Theoretical Results — Melinda F. Thielbar, North Carolina State University; David A. Dickey, North Carolina State University
|
8:50 AM
|
Nonparametric Tests for Conditional Independence Using Conditional Distributions — Taoufik Bouezmarni, McGill University; Roch Roy, Université de Montréal; Abderrahim Taamouti, Universidad Carlos III de Madrid
|
9:05 AM
|
Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis — Wai Keung Li, The University of Hong Kong
|
9:20 AM
|
Outliers in GARCH Models and the Estimation of Risk Measures — Helena Veiga, Universidad Carlos III de Madrid
|
9:35 AM
|
The Sampling Distribution of the W Estimator of the Number of Valid Signatures on a Petition — Mark E. Eakin, The University of Texas at Arlington; Mary M. Whiteside, The University of Texas at Arlington
|
9:50 AM
|
Floor Discussion
|
|
|
|
|
300
|
Tue, 8/3/10, 8:30 AM - 10:20 AM
|
CC-208 (West)
|
Data Measurement - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Baoline Chen, Bureau of Economic Analysis
|
8:35 AM
|
Aligning Survey Estimates of Employment in Expanding and Contracting Establishments with Population Counts: Preliminary Issues and Methods — Michael Roosma, Bureau of Labor Statistics; Kenneth W. Robertson, Bureau of Labor Statistics; James Spletzer, Bureau of Labor Statistics
|
8:50 AM
|
Improving the Preliminary Values of the Chained CPI-U — John Shearer Greenlees, Bureau of Labor Statistics
|
9:05 AM
|
Experimental PPI Index Aggregation Systems with Services and Construction Price Indexes — Jonathan Weinhagen, Bureau of Labor Statistics
|
9:20 AM
|
Sampling and Weighting of Commodity and Service Units for the Elementary Level of Computation of the U.S. Consumer Price Index — Mary Lee Fuxa, Bureau of Labor Statistics
|
9:35 AM
|
An Empirical Comparison of Constrained Optimization Methods for Benchmarking Economic Time Series — Irene Brown, U.S. Census Bureau
|
9:50 AM
|
Measuring Inflation Expectations Using Interval-Coded Data — Yasutomo Murasawa, Osaka Prefecture University
|
10:05 AM
|
Assessing the Impact of Missing Data on Variance Estimates for the Medical Expenditures Panel Survey: Insurance Component (MEPS-IC) — Matthew Thompson, U.S. Census Bureau; Anne Kearney, U.S. Census Bureau
|
|
|
|
|
334
|
Tue, 8/3/10, 10:30 AM - 12:20 PM
|
CC-216 (West)
|
Benchmarking and Temporal Disaggregation of Time Series and New Approaches for Modeling Time-Series Data - Topic Contributed - Papers
|
Business and Economic Statistics Section
|
Organizer(s): Baoline Chen, Bureau of Economic Analysis
|
Chair(s): Stuart Scott, Bureau of Labor Statistics
|
10:35 AM
|
Applying Singular Spectrum Analysis to Climate Data Using SAS/ETS Software — Bruce Elsheimer, SAS Institute; Michael Leonard, SAS Institute; Marc Kessler, SAS Institute
|
10:55 AM
|
Comparing the Causey-Trager Method to the Dagum-Cholette Regression Method of Benchmarking Subannual Data to Annual Benchmarks — Natalya Titova, U.S. Census Bureau; David Findley, U.S. Census Bureau; Brian Carl Monsell, U.S. Census Bureau
|
11:15 AM
|
An Empirical Comparison of Methods for Temporal Distribution and Interpolation — Baoline Chen, Bureau of Economic Analysis
|
11:35 AM
|
Accuracy of Nonparametric Price Indexes Relative to a Parametric Price Index of an Estimated Cobb-Douglas Marginal Utility Model — Peter Zadrozny, Bureau of Labor Statistics
|
11:55 AM
|
Experience with Trend Revision Limits for Published Series — Peter Brian Kenny, PBK Research; Gary Brown, Office for National Statistics UK; Begońa Martin, Office for National Statistics UK
|
12:15 PM
|
Floor Discussion
|
|
|
|
|
346
|
Tue, 8/3/10, 10:30 AM - 12:20 PM
|
CC-214 (West)
|
Econometric Theory - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Graham Elliott, University of California, San Diego
|
10:35 AM
|
Optimal Estimation and Testing in Econometrics — Werner Ploberger, Washington University in St. Louis
|
10:50 AM
|
Principal Components Analysis for Multivariate Point Processes — Victor Solo, University of New South Wales; Ahmed Pasha, University of New South Wales
|
11:05 AM
|
Generalized Method of Moments with Tail Trimming — Jonathan B. Hill, The University of North Carolina at Chapel Hill; Eric Renault, The University of North Carolina at Chapel Hill
|
11:20 AM
|
Inference About Clustering and Parametric Assumptions in Variance Covariance Estimation — Mikko Packalen, University of Waterloo; Tony Wirjanto, University of Waterloo
|
11:35 AM
|
Equivalent Sample Sizes in Time Series Regressions — Jaechoul Lee, Boise State University; Robert Lund, Clemson University
|
11:50 AM
|
Properties of a Block Bootstrap Under Long-Range Dependence — Young Min Kim, Iowa State University
|
12:05 PM
|
Nonparametric Test of Conditional Quantile Independence with an Application to Banks' Systemic Risk — Milan Nedeljkovic, University of Warwick
|
|
|
|
|
385
|
Tue, 8/3/10, 2:00 PM - 3:50 PM
|
CC-202 (West)
|
Central Bank Forecasting - Invited - Papers
|
Business and Economic Statistics Section, International Chinese Statistical Association
|
Organizer(s): Michael McCracken, Federal Reserve Bank of St. Louis
|
Chair(s): Michael McCracken, Federal Reserve Bank of St. Louis
|
2:05 PM
|
Short-Term Inflation Projections for the Euro Area — Domenico Giannone, ECARES
|
2:25 PM
|
Forecasting in the Presence of Recent Structural Breaks — Simon Price, Bank of England
|
2:45 PM
|
Forecast Distributions for Monetary Policymakers — Simon Potter, Federal Reserve Bank of New York
|
3:05 PM
|
Disc: Mike Dueker, Federal Reserve Bank of St. Louis
|
3:25 PM
|
Disc: Jim Nason, Federal Reserve Bank of Philadelphia
|
3:45 PM
|
Floor Discussion
|
|
|
|
|
410
|
Tue, 8/3/10, 2:00 PM - 3:50 PM
|
CC-201 (West)
|
Unit Roots and Cointegration - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Neil R. Ericsson, Federal Reserve Board
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2:05 PM
|
Functional Coefficient Autoregressive Models for Nonlinear Time Series — Mehrzad Netadj, Mississippi State University; Alireza Tahai, Mississippi State University
|
2:20 PM
|
A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence — Kaddour Hadri, Queen's University Belfast
|
2:35 PM
|
Asymptotically Similar Unit Root Tests in the Presence of Autocorrelated Errors — Michalis Stamatogiannis, University of Groningen
|
2:50 PM
|
Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation — Mohitosh Kejriwal, Purdue University; Claude Lopez, University of Cincinnati
|
3:05 PM
|
Phase and Coherency in a Neighborhood of Zero Frequency for Bivariate Long Memory Series — Rebecca J. Sela, New York University; Clifford M. Hurvich, New York University
|
3:20 PM
|
Floor Discussion
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411
|
Tue, 8/3/10, 2:00 PM - 3:50 PM
|
CC-203 (West)
|
Cross Section and Panel - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Kei Hirano, The University of Arizona
|
2:05 PM
|
A Shrinkage Approach to Fixed Effects Estimation of Nonlinear Panel Data Models — Dalia A. Ghanem, University of California, San Diego
|
2:20 PM
|
On the Estimation of the Determinants of Technical Inefficiency in the Stochastic Frontier Production Function Model — Seongho Song, University of Cincinnati; Chansoo Kim, Kongju National University; David Taesok Yi, Xavier University; Younshik Chung, Pusan National University
|
2:35 PM
|
Partially Adaptive Estimation of Truncated Regression Models: A Comparison with Several Semiparametric Estimators — Patrick Ansel Turley, Brigham Young University; James B McDonald, Brigham Young University
|
2:50 PM
|
Approximate Confidence Limits for a Proportion of the Hypergeometric Probability Distribution: Applications in Audits — Yevgeniy Voinov, KIMEP
|
3:05 PM
|
A Goodness of Fit for Difference-in-Difference Models — Heungsun Park, Hankuk University of Foreign Studies; Zoonky Lee, Yonsei University; Sang-goo Lee, Seoul National University; Hyunsoo Kim, Kyonggi University
|
3:20 PM
|
Floor Discussion
|
|
|
|
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423
|
Tue, 8/3/10, 2:00 PM - 3:50 PM
|
CC-Exhibit Hall A (West)
|
Contributed Oral Poster Presentations: Business and Economic Statistics Section - Contributed - Poster Presentations
|
Business and Economic Statistics Section
|
Chair(s): Peiyong (Annie) Qu, University of Illinois at Urbana-Champaign
|
01:
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Comparison of Some Dimension-Reduction Techniques in Multivariate Nonstationary Time Series: A Case Study — Yennyfer Johana Feo , Universidad Nacional de Colombia
|
02:
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Skew Factor Models and Dynamic Skew Factor Models — Beverly Jane Gaucher, Texas A&M University
|
03:
|
Constrained Estimation with Distorted Data by the Least-Squares Criterion — Luis Frank, University of Buenos Aires
|
04:
|
Valuing Markets Using Linear Mixed Effects Models — Jennifer J. Huang, Google; Choongsoon Bae, Google; Jim Koehler, Google
|
05:
|
Does a Hybrid Regression Provide the Optimal Prediction Equation? —
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06:
|
Has the Housing Market Hit Bottom? — Kristen Elizabeth Gulledge, North Carolina State University; Emily Wisner, North Carolina State University
|
07:
|
Risky Business: The 'Failures' of Risk Management — Christine Wu, North Carolina State University; John Ryland Pigg, North Carolina State University
|
08:
|
Total Alcohol Expenditure in the United States: Federal Economic Statistics and Industry Data — Gary Huang, ICF Macro ; Nebiyu Taddese, U.S. Department of the Treasury; Andrey Vinokurov, ICF Macro
|
09:
|
Intradaily Smoothing Splines for Time-Varying Regression Models of Hourly Electricity Load — Virginie Dordonnat, EDF R&D; Marius Ooms, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam
|
10:
|
Segmenting Nonstationary Time Series via Quantile Autoregressions — Ming Zhong, University of California, Davis
|
11:
|
Testing the Markov Assumption Using Corporate Credit Ratings — Jenna Rice, North Carolina State University; Nicole Bader, North Carolina State University
|
12:
|
Seasonal Volatility Models — Ankit Doshi, University of Manitoba; Julieta Frank, University of Manitoba; Aerambamoorthy Thavaneswaran, University of Manitoba
|
13:
|
WITHDRAWN: Volatility Modeling of High-Frequency Electric Price Data — Asitha Edirisinghe, Missouri University of Science and Technology; V.A. Samaranayake, Missouri University of Science and Technology
|
14:
|
Specification Issues in Mixed-Frequency Time Series Modeling — Klaus Wohlrabe, Ifo Institute for Economic Research
|
15:
|
Portfolio Management Strategies — Les Yen, University of Phoenix/NVA; Dalene Wisley, University of Phoenix/NVA
|
16:
|
Modeling Apartment Characteristic Valuations — Caroline Swiger, Clemson University; Julia Sharp, Clemson University; William Bridges, Clemson University
|
17:
|
Statistical Analysis on Market Microstructure Models — Feng Liu, The University of North Carolina at Chapel Hill
|
|
|
|
|
464
|
Wed, 8/4/10, 8:30 AM - 10:20 AM
|
CC-214 (West)
|
Real-Time Economic Indicators - Topic Contributed - Papers
|
Business and Economic Statistics Section
|
Organizer(s): Marc Wildi, Zurich University of Applied Sciences
|
Chair(s): Mark C. Greenwood, Montana State University
|
8:35 AM
|
Asymmetric Henderson's Moving Averages Minimizing Phase-Shift — Dominique Ladiray, INSEE; Michel Grun-Rehomme, ENSAE
|
8:55 AM
|
Monitoring the Economy: An Application of Multivariate Real-Time Signal Extraction — Marc Wildi, Zurich University of Applied Sciences
|
9:15 AM
|
What Do Macroeconomists Know About Productivity Growth? — Simon Van Norden, HEC Montreal; Jan P.A.M. Jacobs, University of Groningen
|
9:35 AM
|
Real-Time Simulation of Alternative Specification of Euro Area Turning Points Detection — Gian Luigi Mazzi, EUROSTAT; Monica Billio, Universitŕ di Venezia; Rosa Ruggeri Cannata, EUROSTAT
|
10:15 AM
|
Floor Discussion
|
|
|
|
|
495
|
Wed, 8/4/10, 10:30 AM - 12:20 PM
|
CC-222 (West)
|
Methodological Advances in Official Time-Series Analysis - Invited - Papers
|
Business and Economic Statistics Section
|
Organizer(s): Tucker Sprague McElroy, U.S. Census Bureau
|
Chair(s): Tucker Sprague McElroy, U.S. Census Bureau
|
10:35 AM
|
Seasonal Adjustment to Facilitate Forecasting: Empirical Results — William R. Bell, U.S. Census Bureau; Ekaterina Sotiris, U.S. Census Bureau
|
11:00 AM
|
Measuring Uncertainty in X-11 Seasonal Adjustment — Stuart Scott, Bureau of Labor Statistics; Michail Sverchkov, Bureau of Labor Statistics; Danny Pfeffermann , Hebrew University
|
11:25 AM
|
Interpolation, Benchmarking, and Temporal Distribution with Natural Splines — Benoit Quenneville, Statistics Canada; Susie Fortier, Statistics Canada; Frédéric Picard, Statistics Canada
|
11:50 AM
|
Time Series Modeling of Official Statistics with Two-Stage Benchmarking — Richard Tiller, Bureau of Labor Statistics; Danny Pfeffermann , Hebrew University
|
12:15 PM
|
Floor Discussion
|
|
|
|
|
516
|
Wed, 8/4/10, 10:30 AM - 12:20 PM
|
CC-216 (West)
|
Modeling Binary Outcomes - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Dalia A. Ghanem, University of California, San Diego
|
10:35 AM
|
Forecasting Corporate Bankruptcy: International Evidence — Shaonan Tian, University of Cincinnati; Yan Yu, University of Cincinnati
|
10:50 AM
|
What Does Realized Volatility Tell Us About Macroeconomic Fluctuations? — Zeynep Senyuz, University of New Hampshire; Marcelle Chauvet, University of California, Riverside; Emre Yoldas, Bentley University
|
11:05 AM
|
Optimal Threshold from AROC Curve — Chong Sun Hong, SKK University; Jin Soo Choi, SKK University; Hee Jeong Lee, SKK University
|
11:20 AM
|
Optimal Threshold from a Mixture of Two Distributions — Chong Sun Hong, SKK University; Jae Seon Joo, KWDI
|
11:35 AM
|
The Effect of Seasonal Adjustment on Turning Points Detection — Gaetana Montana, EUROSTAT; Gian Luigi Mazzi, EUROSTAT; Monica Billio, Universitŕ di Venezia
|
11:50 AM
|
Floor Discussion
|
|
|
|
|
517
|
Wed, 8/4/10, 10:30 AM - 12:20 PM
|
CC-221 (West)
|
Extreme Values and Heavy Trials - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Jonathan B. Hill, The University of North Carolina at Chapel Hill
|
10:35 AM
|
Intensity-Based Estimation of Extreme Loss Event Probability and Value-at-Risk — Kam Hamidieh, Rice University; Stilian Stoev, University of Michigan; George Michailidis, University of Michigan
|
10:50 AM
|
Almost Unbiased Maximum Likelihood Estimation for the Generalized Pareto Distribtion and Value at Risk — David E. Giles, University of Victoria; Hui Feng, King's College/The University of Western Ontario
|
11:05 AM
|
Extreme-Value Distributions as g-and-h Distributions: An Empirical View — David Hoaglin, Abt Bio-Pharma Solutions, Inc.
|
11:20 AM
|
Tail Order and Intermediate Tail Dependence of Multivariate Copulas — Lei Hua, The University of British Columbia; Harry Joe, The University of British Columbia
|
11:35 AM
|
Heavy-Tailed Behavior of High-Frequency Foreign Exchange Changes — Ece Oral, Central Bank of the Republic of Turkey
|
11:50 AM
|
Modeling the Relationship Between the Components of Executive Compensation: A Copula Approach — Padma Rao Sahib , University of Groningen ; Ruud Koning, University of Groningen ; Harmen De Weerd, University of Groningen
|
12:05 PM
|
Some Pareto Mixtured Distributions — Humayun Kiser, Jahangirnagar University; Mian Arif Shams Adnan, Jahangirnagar University
|
|
|
|
|
553
|
Wed, 8/4/10, 2:00 PM - 3:50 PM
|
CC-223 (West)
|
Bayesian Nonparametric Modeling of Longitudinal and Survival Data - Invited - Papers
|
Section on Nonparametric Statistics, Business and Economic Statistics Section, IMS, Section on Bayesian Statistical Science, Health Policy Statistics Section, Section on Risk Analysis, WNAR
|
Organizer(s): Steven MacEachern, The Ohio State University
|
Chair(s): Steven MacEachern, The Ohio State University
|
2:05 PM
|
Bayesian Nonparametric Longitudinal Data Analysis with Embedded Autoregressive Structure: Application to Hormone Data — Wesley Johnson, University of California, Irvine; Fernando Quintana, Pontificia Universidad Católica de Chile
|
2:25 PM
|
Bayesian Clustering for Failure-Time Data — Gary Rosner, The Johns Hopkins University; Peter Mueller, MD Anderson Cancer Center; Fernando Quintana, Pontificia Universidad Católica de Chile
|
2:45 PM
|
Asymptotics for Posterior Mixture Hazards — Pierpaolo De Blasi, University of Turin/Collegio Carlo Alberto; Giovanni Peccati, University of Luxembourg; Igor Pruenster, University of Turin
|
3:05 PM
|
Bayesian Nonparametric Estimation of Regression Models in Event History Analysis — Pierpaolo De Blasi, University of Turin/Collegio Carlo Alberto
|
3:25 PM
|
Disc: Antonio Lijoi, University of Pavia
|
3:45 PM
|
Floor Discussion
|
|
|
|
|
579
|
Wed, 8/4/10, 2:00 PM - 3:50 PM
|
CC-16 (East)
|
Statistical Analysis on Incentives and Performance of K--12 Teachers - Topic Contributed - Papers
|
Business and Economic Statistics Section
|
Organizer(s): Shawn Ni, University of Missouri
|
Chair(s): Shawn Ni, University of Missouri
|
2:05 PM
|
The Link Between Pensions and Retirement Timing: Lessons from California Teachers — Kristine Brown, University of Illinois at Urbana-Champaign
|
2:25 PM
|
Teacher Pension Incentives, Retirement Behavior, and Potential for Reform in Arkansas — Robert M. Costrell, University of Arkansas; Josh McGee, University of Arkansas
|
2:45 PM
|
Estimating a Dynamic Discrete Choice on Teachers' Retirement Decision — Michael Podgursky , University of Missouri; Shawn Ni, University of Missouri
|
3:05 PM
|
Teacher Pay for Performance: Experimental Evidence from Nashville's Project on Incentives in Teaching — Matthew G. Springer, Vanderbilt University; Dale Ballou, Vanderbilt University; J.R. Lockwood, RAND Corporation; Daniel F. McCaffrey, RAND Corporation
|
3:25 PM
|
Disc: Matthew Pepper, National Center on Performance Incentives
|
3:45 PM
|
Floor Discussion
|
|
|
|
|
604
|
Thu, 8/5/10, 8:30 AM - 10:20 AM
|
CC-110 (West)
|
Frontiers of Financial Statistics - Invited - Papers
|
Business and Economic Statistics Section, IMS
|
Organizer(s): Yingying Li, Hong Kong University of Science and Technology
|
Chair(s): Yazhen Wang, University of Wisconsin-Madison
|
8:35 AM
|
Realized Volatility When Sampling Times Can Be Endogenous — Yingying Li, Hong Kong University of Science and Technology ; Per Mykland, The University of Chicago; Eric Renault, The University of North Carolina at Chapel Hill; Lan Zhang, University of Illinois at Chicago; Xinghua Zheng, Hong Kong University of Science and Technology
|
9:00 AM
|
Localized Realized Volatility Modeling — Ying Chen, National University of Singapore; Wolfgang Haerdle, Humboldt University in Berlin; Uta Pigorsch, Universitaet Mannheim
|
9:25 AM
|
Quasi-Maximum Likelihood Estimation of Volatility with High-Frequency Data — Dacheng Xiu, Princeton University
|
9:50 AM
|
Studying the Leverage Effect Based on High-Frequency Data — Yacine Ait-Sahalia, Princeton University; Jianqing Fan, Princeton University; Yingying Li, Hong Kong University of Science and Technology
|
10:15 AM
|
Floor Discussion
|
|
|
|
|
628
|
Thu, 8/5/10, 8:30 AM - 10:20 AM
|
CC-111 (West)
|
Applications Cross Section I - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Michael A. Rutter, Penn State Erie, The Behrend College
|
8:35 AM
|
Do Students Enrolled in Business Statistics Classes Meet Their Expectations? — Mammo Woldie, Texas Southern University
|
8:50 AM
|
The Role of Strategic Planning in Higher Education: Case Studies of Institutions — Chandra Aleong, Delaware State University; J Aleong, University of Vermont
|
9:05 AM
|
Do Smaller Labor Market Entry Cohorts Really Reduce German Unemployment? — Carsten Pohl, Institute for Employment Research; Alfred Garloff, Institute for Employment Research; Norbert Schanne, Institute for Employment Research
|
9:20 AM
|
University Careers Evolution: A Multistate Modeling for a Perspective Study of the Italian Situation — Matilde Bini, European University of Rome; Bruno Monastero, Politecnico di Torino; Margherita Velucchi, Universitŕ di Firenze
|
9:35 AM
|
Students Evaluation of Faculty Teaching Performance: Is It a Valid Assessment? — Ephraim Okoro, Howard University; Mohammad A. Quasem, Howard University ; Melvin Washington, Howard University
|
9:50 AM
|
Floor Discussion
|
|
|
|
|
666
|
Thu, 8/5/10, 10:30 AM - 12:20 PM
|
CC-118 (West)
|
The Rising Tide of Statistics in Business - Topic Contributed - Panel
|
Business and Economic Statistics Section
|
Organizer(s): Kaiser Fung, New York University
|
Chair(s): Mammo Woldie, Texas Southern University
|
Abstract:
|
The Rising Tide of Statistics in Business
|
Panelists:
|
Kaiser Fung, New York University
Dan Coates, Youth Pulse/Globalpark USA
Nathaniel Derby, Stakana Analytics
|
12:15 PM
|
Floor Discussion
|
|
|
|
|
672
|
Thu, 8/5/10, 10:30 AM - 12:20 PM
|
CC-117 (West)
|
Applications Cross Section II - Contributed - Papers
|
Business and Economic Statistics Section
|
Chair(s): Matilde Bini, European University of Rome
|
10:35 AM
|
Blending Vital Statistics Inputs for Life-Table Analysis of Nursing Home Duration — Gary Simon, New York University
|
10:50 AM
|
Estimation in State-Space Models with Exogenous Covariates and Missing Data — Arlene Naranjo, University of Florida; Mildred M. Maldonado-Molina, University of Florida; Kelli A. Komro, University of Florida; A. Alexandre Trindade, Texas Tech University; George Casella, University of Florida
|
11:05 AM
|
Exploring the Factors Influencing Customer's Intentions to Adopt the Innovative Technology Products — Nai-Hua Chen, Chienkuo Technology University; Stephen C.T. Huang, National Kaohsiung First University of Science and Technology
|
11:20 AM
|
Efficiency Measurement Using a Stochastic Frontier Model, with Application to Korean Banks — Eunyoung Kim, Pusan National University; Changkon Hong, Pusan National University; Seongho Song, University of Cincinnati
|
11:35 AM
|
Dynamic Spatial Models for Estimating Systemic Yield Risk — Ying Zhu, North Carolina State University; Sujit Kumar Ghosh, North Carolina State University; Barry Goodwin, North Carolina State University
|
11:50 AM
|
A Rare Event Model for Growth Dynamics — Dodi Devianto, Andalas University
|
12:05 PM
|
Floor Discussion
|
|